The steering wheel in my 2017 Holden Captiva 2.4 shakes when stationary.

This sounds like a fairly simple case of the engine setting up a harmonic vibration through the car. It’s not an uncommon thing and diesels are worse than petrol engines purely because they vibrate more, particularly at idle. By revving the engine slightly, you’re changing the frequency of the engine’s vibrations and moving them out of synch with what’s called the 'natural frequency’ of the rest of the car.

Why does it manifest at the steering column? Because the column is a long, flexible (in a micro sense) shaft that is far more prone to picking up vibrations than a short, more solid part of the car. Why is it happening now all of a sudden? Probably because there’s some wear in the car somewhere. Your call to change the engine mounts was a good one as these can wear and cause this very problem. But, equally, the wear could be in the exhaust system or one of the points where it attaches to the car, a heat shield, the torque converter, or maybe even a piece of the car’s sheet metal that has come loose and is moving slightly.

The quickest fix is to bump the idle one or two hundred rpm and see if that moves the engine out of the vibration zone at idle.